Cryptocurrency
‘Black Thursday’ Distortion Makes Bitcoin Options Look Cheaper
As reported by Coindesk, “With a key metric declining to record lows, bitcoin’s options market may be underpricing cryptocurrency’s future volatility. Analysts say the data is being distorted by ‘Black Thursday’s’ 40% drop. “The spread between bitcoin’s three-month implied volatility (IV) and historical or realized volatility (RV) fell to -47% on Wednesday, the lowest since […]
As reported by Coindesk, “With a key metric declining to record lows, bitcoin’s options market may be underpricing cryptocurrency’s future volatility. Analysts say the data is being distorted by ‘Black Thursday’s’ 40% drop.
“The spread between bitcoin’s three-month implied volatility (IV) and historical or realized volatility (RV) fell to -47% on Wednesday, the lowest since the crypto derivatives research firm Skew began tracking the data 18 months ago.
“The spread turned negative in March and has continued to drop ever since. ‘Historically, RV has been lower than IV for bitcoin over the last 18 months, except for a short period in the months around September 2019,’ noted analytics resource Arcane Research in its monthly report…”